AQR Managed Futures Strategy HV Fund

Class Inst (QMHIX)

Fund Holdings

Asset Allocation

% Long % Short % Net
Cash 234.46 196.99 37.47
Stocks 4.28 0.0 4.28
Bonds 0.0 0.0 0.0
Other 16.35 24.85 -8.49
Foreign Bonds 147.71 94.82 52.89
Foreign Stocks 14.91 1.08 13.83
Convertible 0.0 0.0 0.0
Preferred 0.01 0.0 0.01

Updated 01.31.2014

Top 10 Holdings

Performance as of 02.28.2014

Portfolio as of 01.31.2014

% Net Assets
3mo Euro Euribor Dec15 17.75
3mo Euro Euribor Sep15 17.56
3mo Euro Euribor 15/06/15 17.37
3mo Euro Euribor 16/03/15 14.52
90day Sterling Fu Dec15 13.28
90day Sterling Fu Sep15 13.19
90day Sterling 17/06/15 12.23
10y Mini Jgb Fut Mar14 11.2
90day Sterling 18/03/15 10.15
Aust 3yr Bond Fut Mar14 9.86